Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Characteristics
| Characteristic | Latest | Prior Month | Two Months Ago |
|---|---|---|---|
| Rank (1 is Worst, 20 is Best) | 5 | 5 | 5 |
| Score | 8.86 | 12.13 | 8.68 |
| Market Cap (Millions USD) | 1398.93 | 1360.53 | 1135.21 |
| Predicted Beta | 2.13 | 2.1 | 2.05 |
| Idiosyncratic Volatility | 3.41 | 3.32 | 3.29 |
Annualized return and volatility
| SMH | |
|---|---|
| Annualized Return | 0.0357 |
| Annualized Std Dev | 0.3388 |
| Annualized Sharpe (Rf=0%) | 0.1054 |
Row
Daily Return Statistics
| SMH | |
|---|---|
| Observations | 5005.0000 |
| NAs | 109.0000 |
| Minimum | -0.0958 |
| Quartile 1 | -0.0096 |
| Median | 0.0003 |
| Arithmetic Mean | 0.0004 |
| Geometric Mean | 0.0001 |
| Quartile 3 | 0.0101 |
| Maximum | 0.1646 |
| SE Mean | 0.0003 |
| LCL Mean (0.95) | -0.0002 |
| UCL Mean (0.95) | 0.0010 |
| Variance | 0.0005 |
| Stdev | 0.0213 |
| Skewness | 0.3947 |
| Kurtosis | 4.8471 |
Downside Risk
| SMH | |
|---|---|
| Semi Deviation | 0.0148 |
| Gain Deviation | 0.0161 |
| Loss Deviation | 0.0149 |
| Downside Deviation (MAR=210%) | 0.0193 |
| Downside Deviation (Rf=0%) | 0.0146 |
| Downside Deviation (0%) | 0.0146 |
| Maximum Drawdown | 0.8461 |
| Historical VaR (95%) | -0.0338 |
| Historical ES (95%) | -0.0492 |
| Modified VaR (95%) | -0.0302 |
| Modified ES (95%) | -0.0368 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2000-06-22 | 2008-11-20 | 2017-03-16 | -0.8461 | 4282 | 2155 | 2127 |
| 2018-03-13 | 2018-12-24 | 2019-04-03 | -0.2702 | 272 | 203 | 69 |
| 2019-04-25 | 2019-06-03 | 2019-07-23 | -0.1796 | 63 | 28 | 35 |
| 2018-01-24 | 2018-02-08 | 2018-03-06 | -0.1223 | 29 | 12 | 17 |
| 2019-07-25 | 2019-08-05 | 2019-10-15 | -0.1218 | 59 | 8 | 51 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | SMH | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 1999 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA |
| 2000 | NA | NA | NA | NA | NA | 0.0 | -3.3 | -0.8 | 0.0 | -3.6 | -0.8 | 0.0 | -8.3 |
| 2001 | -0.6 | 6.6 | 0.0 | 1.3 | 3.5 | 0.0 | 5.6 | 0.0 | -2.0 | 6.4 | 0.0 | 0.0 | 22.1 |
| 2002 | -1.1 | 9.7 | 2.6 | 0.4 | 0.0 | -4.5 | -6.4 | 0.0 | 5.4 | 5.3 | 0.0 | 0.0 | 11.0 |
| 2003 | 0.0 | 0.0 | 1.0 | 0.3 | 0.0 | 2.5 | 0.8 | 0.0 | 2.0 | 0.0 | 0.6 | 0.0 | 7.4 |
| 2004 | 0.0 | 2.3 | 1.6 | 0.0 | -1.2 | -3.8 | 0.0 | 0.8 | 4.8 | 0.7 | 3.8 | 0.0 | 9.1 |
| 2005 | 1.6 | 2.4 | -1.4 | 0.0 | 0.6 | 0.4 | -0.3 | -1.1 | 0.0 | -0.7 | 3.7 | 0.0 | 5.1 |
| 2006 | 2.4 | 4.1 | 0.0 | -1.3 | 1.7 | 0.0 | -2.7 | -0.7 | 0.0 | -2.1 | -1.5 | 0.0 | -0.4 |
| 2007 | 0.8 | -0.9 | 0.0 | 0.7 | 0.7 | 0.0 | 0.4 | 0.0 | 1.6 | -1.6 | 0.0 | 0.0 | 1.8 |
| 2008 | 7.4 | 0.0 | 3.5 | 3.5 | 0.0 | -0.8 | -0.2 | 0.0 | -1.8 | 0.0 | -6.6 | 0.0 | 4.4 |
| 2009 | 0.0 | 0.0 | 0.2 | -0.4 | 5.1 | 1.4 | 0.0 | -2.4 | -4.0 | 0.0 | 2.9 | 0.0 | 2.6 |
| 2010 | 2.2 | 2.4 | 0.2 | 0.0 | -1.7 | -0.4 | 0.0 | 3.0 | 0.0 | 0.2 | 2.7 | 0.0 | 8.8 |
| 2011 | 2.5 | -1.6 | -1.5 | 0.0 | -3.1 | 2.0 | 0.0 | -1.4 | 0.0 | -2.9 | 0.4 | 0.0 | -5.5 |
| 2012 | 1.6 | 0.0 | 0.0 | 0.4 | -3.7 | 0.0 | 0.0 | 0.0 | 0.0 | 3.0 | 0.0 | 0.0 | 1.2 |
| 2013 | 2.0 | 0.0 | -1.6 | -0.4 | 0.0 | -0.3 | 1.2 | 0.0 | 1.0 | -0.6 | 0.0 | 0.0 | 1.4 |
| 2014 | 0.0 | 0.0 | 1.5 | -0.7 | 0.0 | 1.6 | 0.3 | 0.0 | -2.2 | 0.0 | -1.2 | 0.0 | -0.7 |
| 2015 | 0.0 | 0.0 | -1.0 | 2.8 | -0.4 | 0.4 | 0.0 | -3.1 | -0.7 | 0.0 | 1.2 | 0.0 | -0.8 |
| 2016 | 0.4 | 3.1 | 0.5 | 0.0 | 0.4 | -0.7 | 0.3 | 0.9 | 0.0 | -0.9 | -4.8 | 0.0 | -1.0 |
| 2017 | 1.0 | 1.2 | 0.0 | 1.0 | 0.2 | 0.0 | 0.4 | 0.5 | 0.0 | -0.3 | -0.9 | 0.0 | 3.2 |
| 2018 | -0.6 | -1.6 | 0.0 | 1.6 | 2.2 | 0.0 | 0.4 | 0.0 | 0.3 | 4.8 | 0.0 | 0.0 | 7.2 |
| 2019 | 1.3 | 0.9 | 2.5 | -0.8 | 0.0 | 2.8 | -2.0 | 0.0 | -0.7 | 2.1 | 0.0 | 0.2 | 6.4 |
Row
Rolling Performance Chart
Snail Trail Chart
